It's true that sometimes users click over to a thread and see some replies but not all on their instance's UI. There's things that could be done to improve it, but it's sometimes mildly confusing, but not so bad, and you can click over typically to see whatever else is happening, and people learn to
Now to be completely fair this is something that Bluesky's devs are interested in potentially changing: there is an open issue to discuss the possibility of private blocks https://github.com/bluesky-social/atproto/discussions/1131
What I am saying is there are architectural consequences to fundamental design abstractions